Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0261
Annualized Std Dev 0.1870
Annualized Sharpe (Rf=0%) -0.1397

Row

Daily Return Statistics

Close
Observations 4274.0000
NAs 1.0000
Minimum -0.2573
Quartile 1 -0.0038
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean -0.0001
Quartile 3 0.0041
Maximum 0.1431
SE Mean 0.0002
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0118
Skewness -2.4765
Kurtosis 75.6245

Downside Risk

Close
Semi Deviation 0.0089
Gain Deviation 0.0089
Loss Deviation 0.0112
Downside Deviation (MAR=210%) 0.0134
Downside Deviation (Rf=0%) 0.0089
Downside Deviation (0%) 0.0089
Maximum Drawdown 0.6903
Historical VaR (95%) -0.0134
Historical ES (95%) -0.0277
Modified VaR (95%) -0.0084
Modified ES (95%) -0.0084
From Trough To Depth Length To Trough Recovery
2004-04-08 2008-12-09 NA -0.6903 4267 1177 NA
2004-04-05 2004-04-06 2004-04-07 -0.0079 3 2 1

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2004 NA NA 0.7 0.1 -0.6 -0.7 -0.1 0 -0.2 -0.2 -0.5 0.7 -0.9
2005 0.2 0.5 0.5 -0.3 0.1 0.7 0 0.4 1.2 -0.1 0.1 0.7 4
2006 0.2 0.9 -0.6 0.3 0 -0.5 0 0.5 -0.2 0.2 0.4 0.5 1.7
2007 0.3 -1 0.2 -0.1 -0.1 1 -1.6 1.8 1.1 -0.1 0 0.8 2.3
2008 -0.2 -0.1 1.6 0 -0.1 0.3 1.4 -0.2 3 0 -7.2 0 -1.9
2009 1.4 -0.5 1.2 3.3 1.1 0.4 1.9 -1.3 -0.8 -2.4 0 -0.3 3.9
2010 0.6 0.9 1 0.4 0.9 -1.3 0.5 0.8 0.4 -0.2 0.6 0.3 5
2011 -1 -0.1 -0.5 0.2 0.2 -0.1 2 1.6 -3 -0.2 1.2 0.1 0.4
2012 -0.3 1 0.9 0.8 -1.8 -0.6 0.5 0.2 1 0.8 -1 0.6 2.4
2013 0.7 1.2 -0.6 0.2 -1.7 0 -0.6 0.1 0.1 -1.6 0.3 -0.4 -2.2
2014 -0.3 0.3 -0.5 -0.2 0.1 -1.2 -0.3 -0.2 -0.5 0.3 -0.4 1.7 -1.3
2015 0.1 0.2 0.4 -0.1 -0.2 0.2 0.4 -0.2 -0.6 -0.3 0 1 0.8
2016 -0.6 1.6 -0.2 0.1 0.3 0.6 -0.7 1.1 0.1 -0.3 0 1.4 3.4
2017 1.2 0.1 0.4 0.1 0.4 0 0.2 -0.3 0.3 0.3 0.1 0.2 3.1
2018 -0.4 0.1 0.3 0.3 0.4 -0.5 -0.2 0.1 0.6 0 0.4 -0.9 0.2
2019 -0.2 -0.3 1 0.5 -1.8 -0.1 0.3 0.4 -0.1 0 0 1.4 1.1
2020 -0.7 -3.6 -4.9 -1.7 1.7 0 0.2 0.1 0 0.3 0.6 0.1 -7.8
2021 1.1 0.9 -0.2 NA NA NA NA NA NA NA NA NA 1.7

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2004-03-26  15.0 SPY    111. 3.00e-4 -3.00e-4  -0.034    0.0129    0.274  -0.011    -0.120 <NA>     NA    NA       NA
2 2004-03-29  15.0 SPY    113. 1.41e-2  2.68e-2  -0.0211   0.0263    0.298   0.0132   -0.113 <NA>     NA    NA       NA
3 2004-03-30  15.1 SPY    113. 3.40e-3  3.21e-2  -0.0275   0.0163    0.333  -0.0132   -0.128 <NA>     NA    NA       NA
4 2004-03-31  15.1 SPY    113. 1.20e-3  3.24e-2  -0.0206   0.0173    0.314  -0.0245   -0.120 <NA>     NA    NA       NA
5 2004-04-01  15.2 SPY    114. 6.00e-3  2.50e-2  -0.0165   0.0225    0.291  -0.0383   -0.132 <NA>     NA    NA       NA
6 2004-04-02  15.2 SPY    115. 7.60e-3  3.25e-2  -0.0116   0.0307    0.307  -0.0035   -0.121 <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart